github.com/frankrap/okex-api@v1.0.4/orderbook_test.go (about) 1 package okex 2 3 import ( 4 "github.com/MauriceGit/skiplist" 5 "github.com/stretchr/testify/assert" 6 "log" 7 "testing" 8 "time" 9 ) 10 11 func TestSkipList(t *testing.T) { 12 list := skiplist.New() 13 item0 := Item{Price: 7000.0, Amount: 10.0} 14 list.Insert(item0) 15 16 fItem, ok := list.Find(Item{Price: 7000.0, Amount: 200.0}) 17 assert.True(t, ok) 18 v := fItem.GetValue().(Item) 19 assert.Equal(t, v.ExtractKey(), 7000.0) 20 assert.Equal(t, v.Amount, 10.0) 21 22 fItem, ok = list.Find(item0) 23 assert.True(t, ok) 24 v = fItem.GetValue().(Item) 25 assert.Equal(t, v.ExtractKey(), 7000.0) 26 assert.Equal(t, v.Price, 7000.0) 27 assert.Equal(t, v.Amount, 10.0) 28 29 ok = list.ChangeValue(fItem, Item{7000.0, 20.0}) 30 assert.True(t, ok) 31 smallest := list.GetSmallestNode() 32 largest := list.GetLargestNode() 33 assert.NotNil(t, smallest) 34 assert.NotNil(t, largest) 35 assert.Equal(t, smallest, largest) 36 37 assert.Equal(t, smallest.GetValue().(Item).Amount, 20.0) 38 39 fItem, ok = list.Find(Item{Price: 6000.0, Amount: 100}) 40 assert.False(t, ok) 41 assert.Nil(t, fItem) 42 } 43 44 func parseWSDepthL2TbtResult(s string) (result WSDepthL2TbtResult) { 45 err := json.Unmarshal([]byte(s), &result) 46 if err != nil { 47 log.Fatal(err) 48 } 49 return 50 } 51 52 func TestDepthOrderBook_GetOrderBook(t *testing.T) { 53 dob := NewDepthOrderBook("BTC-USD-200626") 54 partialString := 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55 depthL2 := parseWSDepthL2TbtResult(partialString) 56 57 dob.Update(ActionDepthL2Partial, &depthL2.Data[0]) 58 59 ob := dob.GetOrderBook(1) 60 61 assert.Equal(t, len(ob.Asks), 1) 62 assert.Equal(t, len(ob.Bids), 1) 63 64 ob = dob.GetOrderBook(10) 65 //t.Logf("%#v", ob) 66 67 assert.Equal(t, len(ob.Asks), 10) 68 assert.Equal(t, len(ob.Bids), 10) 69 70 //for _, v := range ob.Asks { 71 // t.Logf("Ask: %v,%v", v.Price, v.Amount) 72 //} 73 74 assert.Equal(t, ob.Asks[0].Price, 6773.41) 75 assert.Equal(t, ob.Asks[0].Amount, 344.0) 76 77 assert.Equal(t, ob.Asks[1].Price, 6773.8) 78 assert.Equal(t, ob.Asks[1].Amount, 13.0) 79 80 // ["6773.4","29","0","4"],["6773.3","3","0","1"] 81 assert.Equal(t, ob.Bids[0].Price, 6773.4) 82 assert.Equal(t, ob.Bids[0].Amount, 29.0) 83 84 assert.Equal(t, ob.Bids[1].Price, 6773.3) 85 assert.Equal(t, ob.Bids[1].Amount, 3.0) 86 87 // 更新 88 updateString := `{"table":"futures/depth_l2_tbt","action":"update","data":[{"instrument_id":"BTC-USD-200626","asks":[["6773.3","0","0","0"],["6773.39","0","0","0"]],"bids":[["6774.41","0","0","0"],["6773.51","0","0","0"],["6773.42","0","0","0"]],"timestamp":"2020-04-12T10:24:19.925Z","checksum":854586422}]}` 89 depthL2 = parseWSDepthL2TbtResult(updateString) 90 91 _, ok := dob.asks.Find(Item{Price: 6773.3}) 92 assert.False(t, ok) 93 94 dob.Update(ActionDepthL2Update, &depthL2.Data[0]) 95 96 // "asks":[["6773.3","0","0","0"],["6773.39","0","0","0"]],"bids":[["6774.41","0","0","0"],["6773.51","0","0","0"],["6773.42","0","0","0"]] 97 98 _, ok = dob.asks.Find(Item{Price: 6773.3}) 99 assert.False(t, ok) 100 _, ok = dob.asks.Find(Item{Price: 6773.39}) 101 assert.False(t, ok) 102 103 _, ok = dob.bids.Find(Item{Price: 6774.41}) 104 assert.False(t, ok) 105 _, ok = dob.bids.Find(Item{Price: 6773.51}) 106 assert.False(t, ok) 107 _, ok = dob.bids.Find(Item{Price: 6773.42}) 108 assert.False(t, ok) 109 //assert.Equal(t, item6773_3.GetValue().(Item).Amount, 3.0) 110 111 updateString = `{"table":"futures/depth_l2_tbt","action":"update","data":[{"instrument_id":"BTC-USD-200626","asks":[["6772.8","0","0","0"],["6777.55","0","0","0"],["6781.25","0","0","0"],["6782.5","11","0","1"],["6783.14","171","0","2"]],"bids":[["6774.21","0","0","0"],["6774.01","0","0","0"],["6773.42","0","0","0"],["6766.01","133","0","1"],["6025.23","0","0","0"],["6025.18","0","0","0"]],"timestamp":"2020-04-12T10:24:19.938Z","checksum":854586422}]}` 112 depthL2 = parseWSDepthL2TbtResult(updateString) 113 dob.Update(ActionDepthL2Update, &depthL2.Data[0]) 114 115 fv, ok := dob.asks.Find(Item{Price: 6782.5}) 116 assert.True(t, ok) 117 assert.Equal(t, fv.GetValue().(Item).Amount, 11.0) 118 119 fv, ok = dob.bids.Find(Item{Price: 6766.01}) 120 assert.True(t, ok) 121 assert.Equal(t, fv.GetValue().(Item).Amount, 133.0) 122 123 n := int64(1000000) 124 start := time.Now() 125 for i := 0; i < 1000000; i++ { 126 dob.Update(ActionDepthL2Update, &depthL2.Data[0]) 127 } 128 d := time.Now().Sub(start) 129 t.Logf("d: %v %v ns", d.String(), d.Nanoseconds()/n) 130 } 131 132 func TestSkipList1(t *testing.T) { 133 list := skiplist.New() 134 item0 := Item{Price: 7000.0, Amount: 10.0} 135 list.Insert(item0) 136 137 fItem, ok := list.Find(Item{Price: 7000.0, Amount: 200000.0}) 138 t.Logf("ok:%v", ok) 139 //assert.True(t, ok) 140 v := fItem.GetValue().(Item) 141 assert.Equal(t, v.ExtractKey(), 7000.0) 142 assert.Equal(t, v.Amount, 10.0) 143 144 fItem, ok = list.Find(item0) 145 assert.True(t, ok) 146 v = fItem.GetValue().(Item) 147 assert.Equal(t, v.ExtractKey(), 7000.0) 148 assert.Equal(t, v.Price, 7000.0) 149 assert.Equal(t, v.Amount, 10.0) 150 151 ok = list.ChangeValue(fItem, Item{7000.0, 20.0}) 152 assert.True(t, ok) 153 smallest := list.GetSmallestNode() 154 largest := list.GetLargestNode() 155 assert.NotNil(t, smallest) 156 assert.NotNil(t, largest) 157 assert.Equal(t, smallest, largest) 158 159 assert.Equal(t, smallest.GetValue().(Item).Amount, 20.0) 160 161 fItem, ok = list.Find(Item{Price: 6000.0, Amount: 100}) 162 assert.False(t, ok) 163 assert.Nil(t, fItem) 164 } 165 166 //func parseWSDepthL2TbtResult(s string) (result WSDepthL2TbtResult) { 167 // err := json.Unmarshal([]byte(s), &result) 168 // if err != nil { 169 // log.Fatal(err) 170 // } 171 // return 172 //} 173 174 func TestDepthOrderBook_GetOrderBook1(t *testing.T) { 175 dob := NewDepthOrderBook("TRX-USDT-201225") 176 partialString := `{"table":"futures/depth_l2_tbt","action":"partial","data":[{"instrument_id":"TRX-USDT-201225","asks":[["0.01815","61","0","2"],["0.01816","39","0","3"],["0.01819","301","0","4"],["0.0182","4","0","1"],["0.01821","176","0","1"],["0.01823","180","0","2"],["0.01824","190","0","2"],["0.01825","346","0","1"],["0.01826","434","0","3"],["0.01828","12","0","1"],["0.01829","1751","0","2"],["0.01834","150","0","1"],["0.01839","102","0","1"],["0.01846","10","0","1"],["0.01848","50","0","1"],["0.01887","8661","0","1"],["0.01954","6","0","1"],["0.01959","3464","0","1"],["0.0198","2","0","1"],["0.0199","3","0","1"],["0.01999","10","0","1"],["0.02045","8666","0","1"],["0.02223","43277","0","1"],["0.03599","395","0","1"]],"bids":[["0.01813","20","0","1"],["0.01811","33","0","3"],["0.0181","81","0","3"],["0.01809","308","0","2"],["0.01807","192","0","3"],["0.01805","192","0","2"],["0.01804","195","0","2"],["0.01803","356","0","2"],["0.01802","188","0","1"],["0.01801","5","0","1"],["0.018","6","0","1"],["0.01799","1735","0","1"],["0.01798","7","0","1"],["0.01795","50","0","1"],["0.01793","243","0","1"],["0.01788","150","0","1"],["0.01783","102","0","1"],["0.01774","50","0","1"],["0.01741","8664","0","1"],["0.0173","1","0","1"],["0.0165","2","0","1"],["0.01646","1","0","1"],["0.0161","3471","0","1"],["0.01524","8658","0","1"],["0.01346","43270","0","1"]],"timestamp":"2020-07-23T08:52:50.202Z","checksum":1060528549}]}` 177 depthL2 := parseWSDepthL2TbtResult(partialString) 178 179 dob.Update(ActionDepthL2Partial, &depthL2.Data[0]) 180 t.Logf("%+v", dob.asks.String()) 181 var ok bool 182 //_,ok=dob.asks.Find(Item{Price:0.01824}) 183 //t.Logf("查找0.01824%+v",ok) 184 _, ok = dob.asks.Find(Item{Price: 0.01826}) 185 t.Logf("查找0.01826%+v", ok) 186 assert.True(t, ok) 187 188 // 更新 189 updateString := `{"table":"futures/depth_l2_tbt","action":"update","data":[{"instrument_id":"TRX-USDT-201225","asks":[["0.01823","174","0","1"],["0.01824","182","0","1"],["0.01826","424","0","2"],["0.01828","0","0","0"]],"bids":[],"timestamp":"2020-07-23T08:52:50.694Z","checksum":-1843888222}]}` 190 depthL2 = parseWSDepthL2TbtResult(updateString) 191 192 dob.Update(ActionDepthL2Update, &depthL2.Data[0]) 193 t.Logf("! %+v", dob.asks.String()) 194 195 _, ok = dob.asks.Find(Item{Price: 0.01826}) 196 t.Logf("查找0.01826%+v", ok) 197 198 ob := dob.GetOrderBook(20) 199 for _, v := range ob.Asks { 200 t.Logf("ask: %#v", v) 201 } 202 }